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subject:"Volatilität"
~isPartOf:"Journal of financial econometrics"
~isPartOf:"The European journal of finance"
~subject:"Börsenkurs"
~subject:"Prognoseverfahren"
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Search: subject_exact:"Autoregressives Modell"
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Volatilität
Börsenkurs
Prognoseverfahren
Autocorrelation
19
Autokorrelation
19
Share price
8
Volatility
8
Estimation theory
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Barnett, William A.
1
Batten, Jonathan A.
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Bonato, M.
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Cai, Charlie X.
1
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1
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Journal of financial econometrics
The European journal of finance
Journal of forecasting
21
International journal of forecasting
16
Journal of empirical finance
12
Journal of econometrics
11
Discussion paper / Tinbergen Institute
9
Economics letters
9
Applied economics letters
7
Energy economics
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International review of financial analysis
7
Journal of business & economic statistics : JBES ; a publication of the American Statistical Association
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Applied economics
6
CESifo working papers
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International review of economics & finance : IREF
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Review of Pacific Basin financial markets and policies
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Risks : open access journal
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Capital markets and finance in the enlarged Europe : the Postgraduate Research Programme working paper series
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Journal of financial econometrics : official journal of the Society for Financial Econometrics
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SFB 649 discussion paper
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Studies in nonlinear dynamics and econometrics : SNDE ; quarterly publ. electronically on the internet
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Working paper / Department of Econometrics and Business Statistics, Monash University
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ECONIS (ZBW)
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1
A consistent and robust test for autocorrelated jump occurrences
Kwok, Simon
- In:
Journal of financial econometrics
22
(
2024
)
1
,
pp. 157-186
Persistent link: https://www.econbiz.de/10014526309
Saved in:
2
The stable tail dependence and influence among the European stock markets : a score-driven dynamic copula approach
Barnett, William A.
;
Wang, Xue
;
Xu, Hai-Chuan
;
Zhou, …
- In:
The European journal of finance
29
(
2023
)
16
,
pp. 1933-1956
Persistent link: https://www.econbiz.de/10014388527
Saved in:
3
Time-transformed test for bubbles under non-stationary volatility
Kurozumi, Eiji
;
Skrobotov, Anton
;
Tsarev, Alexey
- In:
Journal of financial econometrics
21
(
2023
)
4
,
pp. 1282-1307
Persistent link: https://www.econbiz.de/10014391459
Saved in:
4
A latent factor model for forecasting realized variances
Calzolari, Giorgio
;
Halbleib, Roxana
;
Zagidullina, Aygul
- In:
Journal of financial econometrics
19
(
2021
)
5
,
pp. 860-909
Persistent link: https://www.econbiz.de/10012799052
Saved in:
5
On the autocorrelation of the stock market
Martin, Ian
- In:
Journal of financial econometrics
19
(
2021
)
1
,
pp. 39-52
Persistent link: https://www.econbiz.de/10012504290
Saved in:
6
Bitcoin option pricing with a SETAR-GARCH model
Siu, Tak Kuen
;
Elliott, Robert J.
- In:
The European journal of finance
27
(
2021
)
6
,
pp. 564-595
Persistent link: https://www.econbiz.de/10012484403
Saved in:
7
FARVaR : functional autoregressive value-at-risk
Cai, Charlie X.
;
Kim, Minjoo
;
Shin, Yongcheol
;
Zhang, Qi
- In:
Journal of financial econometrics
17
(
2019
)
2
,
pp. 284-337
Persistent link: https://www.econbiz.de/10012054445
Saved in:
8
Forecasting implied volatility in foreign exchange markets : a functional time series approach
Kearney, Fearghal
;
Cummins, Mark
;
Murphy, Finbarr
- In:
The European journal of finance
24
(
2018
)
1/3
,
pp. 1-18
Persistent link: https://www.econbiz.de/10012244257
Saved in:
9
The sensitivity of beta to the time horizon when log prices follow an Ornstein-Uhlenbeck process
Hong, KiHoon Jimmy
;
Satchell, Stephen
- In:
The European journal of finance
20
(
2014
)
1/3
,
pp. 264-290
Persistent link: https://www.econbiz.de/10010462111
Saved in:
10
A forecast-based comparison of restricted Wishart autoregressive models for realized covariance matrices
Bonato, M.
;
Caporin, Massimiliano
;
Ranaldo, Angelo
- In:
The European journal of finance
18
(
2012
)
9/10
,
pp. 761-774
Persistent link: https://www.econbiz.de/10009691781
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